Bayesian estimation of a decreasing density

DOI10.1214/20-BJPS482MaRDI QIDQ2233668zbMATH OpenOpenAlexFDO

Authors Geurt Jongbloed, Lixue Pang, Frank van der Meulen

Publication date 11 October 2021

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.02539

zbMATH Keywords

Bayesian nonparametricscontraction rateposterior consistency

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: Suppose $X_1,dots,X_n$ is a random sample from a bounded and decreasing density $f_0$ on $[0,infty)$. We are interested in estimating such $f_0$, with special interest in $f_0(0)$. This problem is encountered in various statistical applications and has gained quite some attention in the statistical literature. It is well known that the maximum likelihood estimator is inconsistent at zero. This has led several authors to propose alternative estimators which are consistent. As any decreasing density can be represented as a scale mixture of uniform densities, a Bayesian estimator is obtained by endowing the mixture distribution with the Dirichlet process prior. Assuming this prior, we derive contraction rates of the posterior density at zero by carefully revising arguments presented in Salomond (2014). Various methods for estimating the density are compared using a simulation study. We apply the Bayesian procedure to the current durations data described in Keiding et al.(2012).

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Cited in

(3)

• Density deconvolution under a \(k\)-monotonicity constraint
• On nonparametric estimation for cross-sectional sampled data under stationarity
• Using the gibbs sampler to simulate from the bayes estimate of a decreasing density

Describes a project that uses

Uses Software

• Julia
• ggplot2

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